Conditional volatility in foreign exchange rates: Evidence from the Malaysian ringgit and Singapore dollar
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Pacific-Basin Finance Journal.
Volume (Year): 5 (1997)
Issue (Month): 3 (July)
Contact details of provider:
Web page: http://www.elsevier.com/locate/pacfin
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lo, Andrew W, 1991.
"Long-Term Memory in Stock Market Prices,"
Econometric Society, vol. 59(5), pages 1279-313, September.
- Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc.
- Tom Doan, . "RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified)," Statistical Software Components RTS00191, Boston College Department of Economics.
- Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1991.
"Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market,"
NBER Working Papers
2609, National Bureau of Economic Research, Inc.
- Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-42, May.
- Hogan, Kedreth Jr. & Melvin, Michael T., 1994. "Sources of meteor showers and heat waves in the foreign exchange market," Journal of International Economics, Elsevier, vol. 37(3-4), pages 239-247, November.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Robert F. Engle & Victor K. Ng, 1991.
"Measuring and Testing the Impact of News on Volatility,"
NBER Working Papers
3681, National Bureau of Economic Research, Inc.
- Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
- Takatoshi Ito & V. Vance Roley, 1986.
"News from the U.S. and Japan: which moves the yen/dollar exchange rate?,"
Research Working Paper
86-02, Federal Reserve Bank of Kansas City.
- Ito, Takatoshi & Roley, V. Vance, 1987. "News from the U.S. and Japan : Which moves the yen/dollar exchange rate?," Journal of Monetary Economics, Elsevier, vol. 19(2), pages 255-277, March.
- Takatoshi Ito & V. Vance Roley, 1987. "News from the U. S. and Japan: Which Moves the Yen/Dollar Exchange Rate?," NBER Working Papers 1853, National Bureau of Economic Research, Inc.
- Pagan, Adrian R. & Schwert, G. William, 1990.
"Alternative models for conditional stock volatility,"
Journal of Econometrics,
Elsevier, vol. 45(1-2), pages 267-290.
- Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers 89-02, Rochester, Business - General.
- Adrian R. Pagan & G. William Schwert, 1990. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc.
- Teh Kok Peng & Tharman Shanmugaratnam, 1992. "Exchange rate policy in Singapore: philosophy and conduct over the past decade," Proceedings, Federal Reserve Bank of San Francisco, issue Sep.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Hsieh, David A., 1993. "Implications of Nonlinear Dynamics for Financial Risk Management," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 41-64, March.
- Tarhan, Vefa, 1993. "Policy and volatility of asset returns," Journal of Economics and Business, Elsevier, vol. 45(3-4), pages 269-283.
- Bera, Anil K & Higgins, Matthew L, 1993. " ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 7(4), pages 305-66, December.
- Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
- Kin-Yip Ho & Albert K Tsui, 2008.
"Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar,"
SCAPE Policy Research Working Paper Series
0805, National University of Singapore, Department of Economics, SCAPE.
- Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates : Further Evidence from the Malaysian Ringgit and Singapore Dollar," Finance Working Papers 22571, East Asian Bureau of Economic Research.
- Tully, Edel & Lucey, Brian M., 2007. "A power GARCH examination of the gold market," Research in International Business and Finance, Elsevier, vol. 21(2), pages 316-325, June.
- Tse, Y. K., 2000.
"A test for constant correlations in a multivariate GARCH model,"
Journal of Econometrics,
Elsevier, vol. 98(1), pages 107-127, September.
- Tom Doan, . "RATS programs to replicate Tse's constant correlation GARCH test results," Statistical Software Components RTZ00161, Boston College Department of Economics.
- Tom Doan, . "TSECCTEST: RATS procedure to perform Tse test for constant correlation in MV-GARCH model," Statistical Software Components RTS00214, Boston College Department of Economics.
- Michael McKenzie & Heather Mitchell & Robert Brooks & Robert Faff, 2001.
"Power ARCH modelling of commodity futures data on the London Metal Exchange,"
The European Journal of Finance,
Taylor & Francis Journals, vol. 7(1), pages 22-38.
- McKenzie, M. & Michell, H. & Brooks, R.D. & Faff, R.W., 1998. "Power ARCH Modelling of Commodity Futures Data on the London Metal Exchange," Papers 98-3, Melbourne - Centre in Finance.
- Ahmad Zubaidi Baharumshah & Hooy Chee Wooi, 2007. "Exchange Rate Volatility and the Asian Financial Crisis: Evidence from South Korea and ASEAN-5," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 237-264.
- Chong, James, 2005. "The forecasting abilities of implied and econometric variance-covariance models across financial measures," Journal of Economics and Business, Elsevier, vol. 57(5), pages 463-490.
- Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
- Ho, Kin-Yip & Tsui, Albert K. C., 2003. "Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States," Japan and the World Economy, Elsevier, vol. 15(4), pages 437-445, December.
- Ho, Kin Yip & Tsui, Albert K.C., 2004. "Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach," China Economic Review, Elsevier, vol. 15(4), pages 424-442.
- WenShwo Fang & YiHao Lai & Stephen M. Miller, 2005.
"Does Exchange Rate Risk Affect Exports Asymmetrically? Asian Evidence,"
2005-09, University of Connecticut, Department of Economics.
- Fang, WenShwo & Lai, YiHao & Miller, Stephen M., 2009. "Does exchange rate risk affect exports asymmetrically? Asian evidence," Journal of International Money and Finance, Elsevier, vol. 28(2), pages 215-239, March.
- Wang, Jianxin & Yang, Minxian, 2009. "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 597-615, October.
- Cecilia Maya & Karoll Gómez, 2008. "What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 161-183.
- Ane, Thierry, 2006. "An analysis of the flexibility of Asymmetric Power GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1293-1311, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.